Download or read book Testing the Unbiasedness Hypothesis in the Futures Currency Markets written by Irma I. M. Lao and published by . This book was released on 1993 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Tests of Unbiasedness in the Foreign Exchange Futures Markets written by Laura E. Kodres and published by . This book was released on 1992 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets written by Robert J. Hodrick and published by CRC Press. This book was released on 2023-08-18 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a critical review of the empirical literature that studies the efficiency of the forward and futures markets for foreign exchange. It provides a useful foundation for research in developing quantitative measures of risk and expected return in international finance.

Download or read book The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets written by R. Hodrick and published by Routledge. This book was released on 2014-05-01 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: Robert Hodrick provides a foundation for developing quantitive measures of risk and expected return in international finance.

Download or read book Futures Currency Futures written by Robert J. Hodrick and published by . This book was released on 1985 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Tests of Unbiasedness in Foreign Exchange Futures Markets written by Laura Ellen Kodres and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Arbitrage Cointegration and Testing the Unbiasedness Hypothesis in Financial Markets written by Robin J. Brenner and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We use a no-arbitrage, cost-of-carry asset pricing model to show that the existence of cointegration between spot and forward (futures) prices depends on the time-series properties of the cost-of-carry. We argue that the conditions for cointegration are more likely to hold in currency markets than in commodity markets, explaining many of the empirical results in the literature. We also use this model to demonstrate why the forward rate forecast error, the basis, and the forward premium are serially correlated, and to develop econometric tests of the quot;unbiasedness hypothesisquot; (sometimes called the quot;simple efficiency hypothesisquot;) in various financial markets. The unbiasedness hypothesis is so prevalent in the finance literature that many tests for it have been developed. We examine four of the common tests and and use our cointegration results to demonstrate why each of these tests should reject the null hypothesis of unbiasedness. We find strong support for our hypothesis in the existing empirical literature.

Download or read book Empirical Testing of the Market Efficient Hypothesis in the Currency Futures and Interbank Markets written by Serdar Ali Avsar and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Dynamics and Stochastics of Currency Betas Based on the Unbiasedness Hypothesis in Foreign Exchange Markets written by Winston Lin and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we examine the dynamic and stochastic behavior of the beta coefficient (which will be referred to as the currency beta) of the unbiasedness hypothesis (UH) in foreign exchange markets. We argue that the dynamics and stochastics of currency betas can be attributed to the dynamic behavior of various macroeconomic variables from different sectors of an economy, in addition to the trend variable considered in previous research. Incorporating four macroeconomic variables from the financial, real, and external sectors into the currency betas of eight currencies (developed and emerging) under a logarithmic change specification used to test the UH, we attempt to simultaneously test the behavior of currency betas in terms of nonstationarity, shifts in the mean and variance, and randomness. The vast quantity of empirical tests and results strongly suggests that the changing characteristics of currency betas are readily apparent and have important implications for the reconciliation of the controversies surrounding the legitimacy of the UH, for government exchange rate policies, and for the forecasting of future spot rates, across the developed and emerging economies under study. We also find different tales from developed and developing countries.

Download or read book Testing for Rational Expectations in Foreign Exchange Markets written by Ralph Tryon and published by . This book was released on 1979 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Empirical Studies of the Efficient Market Hypothesis in Foreign Exchange and Financial Futures written by Jerome L. Stein and published by . This book was released on 1982 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Dynamics and Stochastics of Currency Betas Based on the Unbiasedness Hypothesis in Foreign Exchange Markets written by Winston Lin and published by . This book was released on 2016 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article examines the dynamic and stochastic behavior of the beta coefficient (to be referred to as the currency beta) of the unbiasedness hypothesis (UH) in foreign exchange markets. We argue that the dynamics and stochastics of currency betas can be attributed to the dynamic behavior ofvarious macroeconomic variables from different sectors of an economy, in addition to the trend variable considered in previous research. Incorporating four macroeconomic variables from the financial, real, and external sectors into the currency betas of eight currencies (developed and emerging) under a logarithmic change specification used to test the UH, we attempt to simultaneously test the behavior of currency betas in terms of nonstationarity, shifts in the mean and variance, and randomness. The vast quantity of empirical tests and results strongly suggests that the changing characteristics of currency betas are readily apparent and have important implications for the reconciliation of the controversies surrounding the legitimacy of the UH, forgovernment exchange rate policies, and for the forecasting of future spot rates, across the developed and emerging economies under study. We also find different tales from developed and developing countries.

Download or read book Testing for Non Linearity in the Foreign Currency Futures Market written by Wan Mansor Mahmood and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, the issue of nonlinearity in foreign currency futures markets is examined. Daily returns are found to be linear independent but nonlinear dependent. That is, they are correlated through their second moment. However, when the BDS test is applied, the results are inconclusive as the null hypothesis of i.i.d is not rejected in some cases but rejected in others. This rejection of i.i.d in the returns and filtered returns series arises solely from the variance of the process as suggested by the third moment test. As such, GARCH(1,1) models are fitted to all the return series and the corresponding standardized residuals are tested for i.i.d behavior. It is shown that the model brings about some improvement in that nonlinear dependence in the return series is reduced considerably.

Download or read book Testing Forward Rate Unbiasedness in India written by Rohit Vishal Kumar and published by . This book was released on 2009 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 'Unbiased Forward Rate Hypothesis' (UFH) states that the forward exchange rate of any foreign currency must be an unbiased predictor of the future spot rate. In developed economies, considerable empirical work has been undertaken by researchers to test the validity of UFH; however the results have been quite mixed. In the Indian context, little empirical (or even theoretical) work has been undertaken to test/examine/investigate the validity of UFH in the Indian forex market. In this paper, we attempt to reexamine in Indian context the familiar relationship between forward and future spot rate. Using the rates for the US Dollar on a monthly basis, we use 'level' specification to test for UFH in the Indo - US foreign exchange rate market. Cointegration tests are performed to confirm the legitimacy of forward rate and spot rate being included in regression. Evidence of serial correlation is found and models for correction of serial correlation are used. The data, taken from the Reserve Bank of India, covers a period from September 2000 to January 2007. Our investigations reveal that the Indian forex market does not fully support the UFH. For the entire sample period, the evidences indicate that even though the current forward rate has a significant impact in predicting the future spot rate, however, enough variability remain to make the predictions a suspect. Based on our evidences, we highlight some reasons as to why the UHF fails in the Indian forex market and suggest areas for further research.

Download or read book On Biases in the Measurement of Foreign Exchange Risk Premiums written by Geert Bekaert and published by . This book was released on 1991 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: The hypothesis that the forward rate is an unbiased predictor of the future spot rate has been consistently rejected in recent empirical studies. This paper examines several sources of measurement error and misspecification that might induce biases in such studies. Although previous inferences are shown to be robust to a failure to construct true returns and to omitted variable bias arising from conditional heteroskedasticity in spot rates, we show that the parameters were not stable over the 1975-1989 sample period. Estimation that allows for endogenous regime shifts in the parameters demonstrates that deviations from unbiasedness were more severe in the 1980's.

Download or read book Working Paper Series written by and published by . This book was released on 1986 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Forward Rate Unbiasedness Hypothesis written by Toufic Nicolas Mokbel and published by . This book was released on 2009 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient market hypothesis implies that all the available information is to tally implemented in the forward rate leading to the equality between the forwar d rate and the future spot. This study investigates whether this relation, known as the Forward Rate Unbiasedness Hypothesis (FRUH), is applicable for the Middl e East and North Africa (MENA) currencies. Testing for the FRUH was done by testing for unit roots and stationarity of the Spot and Forward Series using the Augmented Dickey Fuller (ADF) test and the Kwi atkowski, Phillips, Schmidt and Shin (KPSS) test, and then the conducting the Jo hansen Cointegration test that enables the approval the FURH, if the cointegrati on vector is [1,-1]. This study shows that FURH is applicable for some currencies for short forward p eriods only. However, for most currencies, the FRUH is not applicable for the lo ng forward periods and therefore it is concluded that the FURH is generally not applicable in MENA countries, proving that their markets are non-efficient, non- transparent and non-liquid.